Sifnos is a great place for walking. There are lots of old footpaths, generally quite well marked. It's a really good way of exploring the island.
Most of the footpaths start from Apollonia and Artemonas, so if you're in Kamares you'd need to get the bus up there to start.
It was much to hot to contemplate walking anywhere in September 2010 - between 30 - 35 degrees most days, and a lot of the walks don't have much shade. Spring and late September or October are ideal for walking.
A good map is available on the island. There's also a small book of walks produced in French/English. You can get both of these from the bookshop on the right as you go out of Kamares towards Appollonia.
As always, we would also really recommend Walking, Hiking and Trekking in the Cyclades. This fantastically useful site is the work of Raymond Verdoolaege, and has clear, detailed directions for 47 different walks on Sifnos. Raymond is a frequent visitor, and updates his walks regularly. He has a range of walks, starting from different points across the island. For more information about walking it is also worth looking at the very informative and nicely designed Sifnos Trails.